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by krot
May 16th, 2005, 11:52 am
Forum: Technical Forum
Topic: Correlation Break Down !!!-Deathknell of Base Correlation
Replies: 19
Views: 153919

Correlation Break Down !!!-Deathknell of Base Correlation

<t>All true, but back to the topic of the ""Base Correlation is Dead". I always thought of the Base Corr framework as more of a static tool to benchmark the custom bespoke tranches to the liquid quoted market, i.e. it's a "an equivalent price" here and now, but it doesn't address the dynamics. As al...
by krot
May 16th, 2005, 11:25 am
Forum: Technical Forum
Topic: MorganStanley's Synthetic CDO pricer
Replies: 4
Views: 149806

MorganStanley's Synthetic CDO pricer

<t>In my experience, the function was not that useful - you have to specify yourself either the tranche correlation or both base correlations for your custom portfolio. I feel that the trick is in KNOWING those values, rather than doing the discounting. And I agree, it's just a standard gaussian cop...
by krot
August 13th, 2004, 4:16 pm
Forum: Technical Forum
Topic: Base Correlation Curve for CDO's
Replies: 198
Views: 243314

Base Correlation Curve for CDO's

Some dealers quote both premium and base correlations, which I think defeats the purpose a little bit. I thought that b.c. were supposed to be like a different language for premiums, but it can't be if dealers use different models.
by krot
August 6th, 2004, 2:49 pm
Forum: Technical Forum
Topic: Base Correlation Curve for CDO's
Replies: 198
Views: 243314

Base Correlation Curve for CDO's

<t>hojdard,fair clarification (I should have been more clear). Take DiceMan example, then from the weighted sum of EL, one gets the size-weighted sum of inverses, i.e. sum of 1/(1+si) equals 1/(1+s) (si spread on tranche i).Also true that for huge index spreads S(T) (i.e. survival) can be 0 and then...
by krot
August 6th, 2004, 12:17 pm
Forum: Technical Forum
Topic: Base Correlation Curve for CDO's
Replies: 198
Views: 243314

Base Correlation Curve for CDO's

DiceMan,I'm not sure I get the zizzi part...The (weighted) sum of (non-overlapping which sum to 100%) tranche spreads better equal the spread of the index - otherwise you can just get all the tranches and play against the index.
by krot
August 5th, 2004, 4:07 pm
Forum: Technical Forum
Topic: Base Correlation Curve for CDO's
Replies: 198
Views: 243314

Base Correlation Curve for CDO's

<t>Wibble,I had the same problem. I got a copy of the model from the forum, played with it a bit and here are some questions/issues:1) The level of Base Corr derived from JPM Xl model varies significantly from some quotes for ITRAXX (I get ITRAXX and IBOXX info from BS, but only ITRAXX comes with BA...
by krot
May 15th, 2003, 12:54 pm
Forum: General Forum
Topic: Do you concider CFA exams to be rote learning?
Replies: 39
Views: 193850

Do you concider CFA exams to be rote learning?

A related question: is having CFA 2/3 considered essential for being in banking and/or securitization? If you already have a PhD and work in financial area, would there be an added benefit of CFA?
by krot
May 14th, 2003, 12:29 pm
Forum: Off Topic
Topic: Michael Lewis's latest book -- Moneyball
Replies: 42
Views: 192918

Michael Lewis's latest book -- Moneyball

Btw, Michael Lewis will be speaking at Columbia on May 21st about Moneyball. I think the pleasure of listening will be $50 (but you get to keep the book).